Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0060
Annualized Std Dev 0.1576
Annualized Sharpe (Rf=0%) -0.0380

Row

Daily Return Statistics

Close
Observations 4650.0000
NAs 1.0000
Minimum -0.1358
Quartile 1 -0.0040
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0044
Maximum 0.1547
SE Mean 0.0001
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0099
Skewness 0.0344
Kurtosis 36.6167

Downside Risk

Close
Semi Deviation 0.0071
Gain Deviation 0.0077
Loss Deviation 0.0081
Downside Deviation (MAR=210%) 0.0121
Downside Deviation (Rf=0%) 0.0071
Downside Deviation (0%) 0.0071
Maximum Drawdown 0.4253
Historical VaR (95%) -0.0136
Historical ES (95%) -0.0225
Modified VaR (95%) -0.0089
Modified ES (95%) -0.0089
From Trough To Depth Length To Trough Recovery
2002-10-10 2008-10-10 2010-09-02 -0.4253 1987 1510 477
2016-09-13 2020-03-23 NA -0.3907 1138 887 NA
2012-08-03 2013-08-16 2014-12-18 -0.2129 598 260 338
2014-12-19 2015-08-28 2016-07-27 -0.1853 403 174 229
2010-09-03 2011-02-22 2011-11-17 -0.1077 306 118 188

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2002 NA NA NA NA NA NA NA NA 0 0 0.4 0.9 1.3
2003 1.1 -0.3 -0.7 -0.1 0.4 -0.4 -3.1 0.2 1.3 0.1 0.5 0.3 -0.8
2004 -0.2 1.3 -0.2 0.8 0.6 0.3 0.2 -0.1 -1.1 -0.4 -0.5 -1.7 -1.2
2005 0.6 0.2 0.9 0.7 -0.5 0.1 -0.7 2.1 -0.1 0.7 1.3 -0.5 4.8
2006 0.1 -0.3 -0.1 0.7 1.3 0.7 0.1 0 0.8 1.2 0.2 0.7 5.6
2007 0.1 0.6 1.2 1 -0.5 0.3 0.1 1 0.4 -0.1 1.3 1.2 6.8
2008 1.2 -1.4 -0.3 -1.3 -0.5 -0.6 -0.2 -0.5 -2.1 0.1 -0.2 -0.4 -6.2
2009 -0.6 -0.2 0 0.4 -0.4 0.8 -0.2 1.2 0.2 -1.9 -0.2 0.1 -0.8
2010 0.2 0.7 0 -0.1 0.6 0.6 0 0.1 -1.9 -0.1 -1.4 1.6 0.2
2011 0.2 -0.7 0.4 0.1 0.5 0.1 -0.1 -0.7 -0.3 0.1 0.7 -0.3 0.2
2012 -0.1 1 1.6 0.7 0 0.2 -1 -0.2 1.1 1 -1.3 -0.2 2.7
2013 0.6 0.1 1.4 1.1 -2.5 0.9 1.7 -0.9 -0.4 -0.8 -0.5 -0.9 -0.2
2014 0.8 -0.5 -0.7 0.2 -0.7 0.6 -1.4 -0.5 0 -0.3 -0.1 0 -2.5
2015 0.1 0.8 0.3 1.6 0.9 -1.5 0.3 1.4 0.4 0.6 0.7 -0.9 4.7
2016 -0.8 0.4 1.5 -0.8 1.4 0.6 0.1 0.3 0 -0.9 -1.7 0.6 0.4
2017 -0.1 0 -0.3 0.2 -0.3 -0.2 0.2 -0.1 0.1 0.1 0.2 -0.1 -0.1
2018 -0.3 -0.2 0.8 0 -0.2 -0.1 0.1 0.5 0.4 0 0.3 0.8 2.1
2019 0.1 0.1 -0.2 -0.1 0.2 -0.6 0.4 0.4 0.1 -0.1 -0.3 -0.4 -0.4
2020 0.1 -1.8 -4.8 0.2 0.5 0.3 0.1 0.5 0.1 -0.9 0.1 0.7 -4.9
2021 -0.8 0.9 -0.1 NA NA NA NA NA NA NA NA NA 0

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart